Price relationships in the US sweetener market: A cointegration approach

This paper is an extension of the cointegration analyses of Williams and Bessler (1997) and Moss and Schmitz (2002). Results show that HFCS and refined sugar beet prices did not cointegrate between January 1999 and December 2004; however, they did cointegrate between January 2005 and September 2006. The latter result seems to be the outcome of a large increase in refined beet sugar prices during late 2005, the largest increase seen for the period January 1999 to September 2006. However, this cointegrating relationship may no longer exist for 2007 in view of the rising of corn prices and the drop in sugar prices.